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VPIN and the Flash Crash: A rejoinder · Study

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ArticleVPIN and the Flash Crash: A rejoinder

David A. Easley2013

Article2013

VPIN and the Flash Crash: A rejoinder

David A. Easley · Marcos López de Prado · Maureen O’Hara

32 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1987The Relation Between Price Changes and Trading Volume: A Survey 1992Time and the Process of Security Price Adjustment 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects 2012Flow Toxicity and Liquidity in a High-frequency World 2011The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading 2007Time-Varying Arrival Rates of Informed and Uninformed Trades 2012The Volume Clock: Insights into theHigh-Frequency Paradigm 2018The Flash Crash: A Cautionary Tale About Highly Fragmented Markets

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2015Optimal Execution with Dynamic Order Flow Imbalance 2018Circuit breakers as market stability levers: A survey of research, praxis, and challenges

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2012From PIN to VPIN: An introduction to order flow toxicityarticle · 6 shared references 2013Reflecting on the VPIN Disputearticle · 6 shared references 2016Discerning information from trade dataarticle · 4 shared references 2014Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulencearticle · 4 shared references 2019A state-space modeling of the information content of trading volumearticle · 4 shared references n.d.The econometrics of ultra-high frequency data /article · 3 shared references

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Year2013

Typearticle

Published2013-07-09

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations32

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.finmar.2013.06.007

openalex_workW2011471121

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